Capital allocation with multivariate convex risk measures

DOI10.3934/JIMO.2022231MaRDI QIDQ2698586zbMATH OpenOpenAlexFDO

Authors Linhai Wei, Yijun Hu

Publication date 24 April 2023

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2022231

zbMATH Keywords

capital allocationcoherent risk measureconvex risk measureentropic risk measuremultivariate risk measure

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

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Cited in

(12)

• Extended gradient of convex function and capital allocation
• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• GlueVaR risk measures in capital allocation applications
• On a capital allocation by minimization of some risk indicators
• The center of a convex set and capital allocation
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
• AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
• AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS
• Capital allocation to alternatives with a multivariate ladder gamma return distribution
• Risk-Sensitive ICAPM With Application to Fixed-Income Management
• scientific article; zbMATH DE number 5589331 (Why is no real title available?)

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